Leon, Costas and Eeckels, Bruno (2009): A Dynamic Correlation Approach of the Swiss Tourism Income.
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We apply cross-spectral methods, dynamic correlation index of comovements and a VAR model to study the cyclical components of GDP and tourism income of Switzerland with annual data for the period 1980 – 2007. We find evidence of 4 dominant cycles for GDP and an average duration between 9 and 11 years. Tourism income is characterized by more cycles, giving an average cycle of about 8 years. There are also common cycles both in the typical business cycle and in the longer-run frequency bands. Lead / lag analysis shows that the two cyclical components are roughly synchronized. Simulations via a VAR model show that the maximum effect of 1% GDP shock on tourism income is higher than the maximum effect of 1% tourism income shock on GDP. The effects of these shocks last for about 12-14 years, although the major part of the shocks is absorbed within 5-6 years.
|Item Type:||MPRA Paper|
|Original Title:||A Dynamic Correlation Approach of the Swiss Tourism Income|
|Keywords:||Switzerland, Tourism Economics, Economic Fluctuations, Business Cycle, Spectral Analysis, Dynamic Correlation, VAR Models.|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
L - Industrial Organization > L8 - Industry Studies: Services > L83 - Sports; Gambling; Recreation; Tourism
|Depositing User:||Costas Leon|
|Date Deposited:||14. May 2009 07:42|
|Last Modified:||13. Feb 2013 10:50|
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